Download This PaperComparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation
13 Pages Posted: 16 Jan 2004
Date Written: January 10, 2004
Abstract
We use simulations to compare the potential accuracy of burn and index modelling applied to the calculation of the expected payoff and other diagnostics for weather options.
Keywords: Weather derivatives, weather option pricing, burn, index modelling
JEL Classification: G13
Suggested Citation: Suggested Citation
Jewson, Stephen, Comparing the Potential Accuracy of Burn and Index Modelling for Weather Option Valuation (January 10, 2004). Available at SSRN: https://ssrn.com/abstract=486342 or http://dx.doi.org/10.2139/ssrn.486342
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